A Comparison between the Accuracy of the Capital Asset Pricing Model (CAPM) and the Fama-French Three-Factor Model in the Vietnam Stock Market during the 2008 – 2017 period

No Thumbnail Available
Journal Title
Journal ISSN
Volume Title
School of Business | Bachelor's thesis
Electronic archive copy is available locally at the Harald Herlin Learning Centre. The staff of Aalto University has access to the electronic bachelor's theses by logging into Aaltodoc with their personal Aalto user ID. Read more about the availability of the bachelor's theses.
Author
Date
2018
Department
Mikkelin kampus
Major/Subject
Mcode
Degree programme
(Mikkeli) Bachelor’s Program in International Business
Language
en
Pages
49+6
Series
Abstract
Objectives The main objectives of this study were to assess and compare the accuracy between the CAPM and the Fama – French three-factor model in predicting stock returns patterns in the Vietnam Stock market during the 2008-2017 period. Summary The paper collects data from the listed stocks in the Ho Chi Minh Stock Exchange from July 2008 to June 2017 to form the sample. Then, the thesis utilizes Ordinary Least Squares (OLS) regression method to analyze the performance of the CAPM and the Fama – French three-factor model. Additionally, the GRS test is also applied to assess the accuracy of these models. Conclusions The findings of the thesis suggest that the CAPM is inaccurate in explaining the stock returns patterns in the Vietnam stock market during the 2008-2017 period while the Fama – French three-factor is demonstrated to be significantly accurate in the same period. Thus, the thesis concludes that the Fama – French three-factor model is more accurate than the CAPM in explaining stock returns patterns in the Vietnam stock market from July 2008 to June 2017. Overall, the thesis contributes to the academia by gaining new insights on the performances between the CAPM and the Fama – French three-factor model as it is conducted in the Vietnam stock market, which is relatively under-researched. Then, the study can help investors or investment managers in choosing an appropriate and efficient model to calculate stocks’ expected returns.
Description
Thesis advisor
Stepanov, Roman
Keywords
finance, asset pricing, CAPM, Fama - French three-factor model, Vietnam, stock market, regression analysis, investment
Other note
Citation
Permanent link to this item
https://urn.fi/URN:NBN:fi:aalto-201809105054
Collections
[kand] Kauppakorkeakoulu / BIZ